Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1341 |
| Annualized Std Dev | 0.2476 |
| Annualized Sharpe (Rf=0%) | 0.5419 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3445.0000 |
| NAs | 1.0000 |
| Minimum | -0.1298 |
| Quartile 1 | -0.0067 |
| Median | 0.0015 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0089 |
| Maximum | 0.0990 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0002 |
| Stdev | 0.0156 |
| Skewness | -0.4891 |
| Kurtosis | 5.0106 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0116 |
| Gain Deviation | 0.0099 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.6141 |
| Historical VaR (95%) | -0.0250 |
| Historical ES (95%) | -0.0379 |
| Modified VaR (95%) | -0.0255 |
| Modified ES (95%) | -0.0477 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-11 | 2008-11-20 | 2010-12-10 | -0.6141 | 785 | 269 | 516 |
| 2020-02-20 | 2020-03-16 | 2020-05-29 | -0.3396 | 70 | 18 | 52 |
| 2011-02-18 | 2011-10-03 | 2013-07-12 | -0.3196 | 602 | 157 | 445 |
| 2015-06-04 | 2016-02-11 | 2016-11-17 | -0.2623 | 370 | 175 | 195 |
| 2018-09-17 | 2018-12-24 | 2019-03-21 | -0.2546 | 128 | 69 | 59 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0.2 | 0.4 | 1 | 1.5 | 0.9 | -0.4 | -0.5 | 0 | 3.1 |
| 2008 | 2.7 | -2.6 | 2.9 | 1.9 | 1.1 | -0.1 | -0.1 | -1.7 | 0.4 | 1.5 | -4 | 3.1 | 4.7 |
| 2009 | -2.1 | -2.1 | 0.4 | 0.1 | 3.6 | 1.1 | -0.1 | -2.4 | -3.6 | -2.6 | 2.4 | -1 | -6.4 |
| 2010 | 2.2 | 2.6 | 0.2 | -2.5 | -2.8 | -0.3 | -0.4 | 3.1 | -0.1 | -0.1 | 2.6 | -0.4 | 3.9 |
| 2011 | 2.2 | -1.8 | -1 | 0.3 | -2.5 | 1.6 | -0.6 | -1.7 | -3 | -3.4 | 0.1 | -0.3 | -9.9 |
| 2012 | 2.2 | 0.6 | 0.1 | 0.4 | -3.6 | 4 | -0.9 | 0.8 | -0.6 | 3 | -0.4 | 1.8 | 7.3 |
| 2013 | 1.3 | 0 | -1.5 | -1.5 | -0.7 | 0.9 | 2 | -0.8 | 1.5 | 0 | 0.1 | 0.8 | 1.9 |
| 2014 | -0.7 | -0.3 | 1.6 | 0 | -0.4 | 1.1 | -0.4 | 0.8 | -2.3 | 2.2 | -1.2 | -0.7 | -0.4 |
| 2015 | -1.7 | -0.8 | -1 | 1.6 | 0.3 | 0.3 | -0.4 | -2.9 | -0.2 | 0.1 | 1.2 | -1.2 | -4.6 |
| 2016 | 0.5 | 2.8 | 0.7 | -1.9 | 0.3 | -0.3 | 0.1 | 0.6 | 0.9 | -0.7 | -3.2 | -1 | -1.2 |
| 2017 | 0.4 | 1.7 | -0.2 | 0.8 | 0.7 | -0.3 | 0.9 | 0.1 | 0.7 | -0.6 | -0.8 | -0.8 | 2.7 |
| 2018 | -0.2 | -1.2 | 1.9 | 0.2 | 1.8 | 0.3 | 1 | 0.2 | -0.6 | 2.1 | 1.1 | 1.2 | 8 |
| 2019 | 1.4 | 0.3 | 1.8 | -1.3 | -1.6 | 1.6 | -0.5 | -0.2 | -1.2 | 1.6 | -0.5 | 0.2 | 1.6 |
| 2020 | -2.4 | 0.4 | -4.9 | -3.4 | 2.1 | 1.4 | 1 | 2.7 | 1.9 | -1.8 | 0.3 | 0.1 | -2.8 |
| 2021 | 2.5 | 3.6 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-10 20.1 SPY 150. -0.0105 -0.0051 0.0386 0.0314 0.128 0.360 0.372 GLD 66 -0.0215 -2.21e-2
2 2007-05-29 20.1 SPY 152. 0.0036 -0.002 0.0181 0.0913 0.192 0.361 0.401 GLD 65.1 0.002 -9.10e-3
3 2007-06-05 20.8 SPY 153. -0.004 0.0082 0.017 0.0987 0.190 0.357 0.471 GLD 66.4 -0.0026 2.00e-2
4 2007-06-18 20.9 SPY 153. -0.00120 0.0105 0.0105 0.0905 0.212 0.341 0.508 GLD 65.0 0.0015 3.90e-3
5 2007-06-20 20.6 SPY 151. -0.0139 -0.0049 -0.0092 0.0548 0.222 0.330 0.440 GLD 64.7 -0.0118 2.80e-3
6 2007-06-21 20.9 SPY 152. 0.0056 -0.00580 -0.00290 0.0615 0.225 0.343 0.482 GLD 64.6 -0.0023 -6.00e-4
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
